An Application of Semi-Markovian Models to the Ruin Problem

Almaraz Luengo, Elena Salome

An Application of Semi-Markovian Models to the Ruin Problem

dc.contributor.author	Almaraz Luengo, Elena Salome
dc.date.accessioned	2023-06-20T03:31:33Z
dc.date.available	2023-06-20T03:31:33Z
dc.date.issued	2011-12
dc.description.abstract	We consider the classical ruin problem due to Cramér and Lundberg and we generalize it. Ruin times of the considered models are studied and sufficient conditions to usual stochastic dominance between ruin times are established. In addition an algorithm to simulate processes verifying the conditions under consideration is proposed.	en
dc.description.department	Depto. de Estadística e Investigación Operativa
dc.description.faculty	Fac. de Ciencias Matemáticas
dc.description.refereed	TRUE
dc.description.status	pub
dc.eprint.id	https://eprints.ucm.es/id/eprint/20491
dc.identifier.issn	0120-1751
dc.identifier.officialurl	http://www.emis.de/journals/RCE/V34/v34n3a06.pdf
dc.identifier.relatedurl	http://www.unal.edu.co/
dc.identifier.uri	https://hdl.handle.net/20.500.14352/43712
dc.issue.number	3
dc.journal.title	Revista Colombiana de Estadística
dc.language.iso	eng
dc.page.final	495
dc.page.initial	477
dc.publisher	Universidad Nacional de Colombia
dc.rights.accessRights	open access
dc.subject.cdu	519.2
dc.subject.keyword	Coupling
dc.subject.keyword	Markov chains
dc.subject.keyword	Semi-Markov process
dc.subject.keyword	Simulation
dc.subject.keyword	Stochastic ordering.
dc.subject.ucm	Estadística aplicada
dc.title	An Application of Semi-Markovian Models to the Ruin Problem	en
dc.type	journal article
dc.volume.number	34
dspace.entity.type	Publication
relation.isAuthorOfPublication	1c9068b2-8cdc-4211-ae24-f355b63f2ec4
relation.isAuthorOfPublication.latestForDiscovery	1c9068b2-8cdc-4211-ae24-f355b63f2ec4

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